Corporate bond pricing with jump diffusion default intensity | Macquarie University ResearchOnline

Home

List Of Titles

Corporate bond pricing with jump diffusion default intensity

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/197471

13 Visitors

15 Hits

0 Downloads

Title: Corporate bond pricing with jump diffusion default intensity
Related: Higher Degree Research Expo (7th : 2011) (10 - 11 October 2011 : Sydney)
Related: Expo 2011 Higher Degree Research : book of abstracts, p.69
Related: http://www.businessandeconomics.mq.edu.au/research_expo/2011
Publisher: North Ryde, N.S.W : Faculty of Business and Economics, Macquarie University
Date: 2011
Author/Creator: Mohd-Ramli, Siti
Description: Purpose: To provide a bond pricing framework that allows for dependency between the interest rate and default intensity processes which are assumed to follow mean-reverting jump diffusion processes. Approach: The time to default is modelled according to a Cox process whose intensity follows a mean reverting jump diffusion process. We also assume that a bond issuer’s default intensity is correlated to the short rate process where a copula function, a parametrically specified joint distribution generated from marginal distributions, is utilized to address the issue of correlated jumps to capture the dependence structure between two processes. The copula families considered are a Farlie-Gumbel-Mogenstern copula, a Gumbel copula and t-copula. Research implications: Corporate bond pricing model and its calibration.
Description: 1 page(s)
Subject Keyword: jump diffusion processes
Subject Keyword: a Cox process
Subject Keyword: dependency between the interest rate and default intensity
Subject Keyword: copulas
Subject Keyword: corporate bond pricing
Resource Type: conference paper abstract
Organisation: Macquarie University. Dept. of Applied Finance and Actuarial Studies

Identifier: http://hdl.handle.net/1959.14/197471
Identifier: ISSN:1837-9214
Identifier: mq_res-ext-201210311327-31
Language: eng

Macquarie University ResearchOnline

Search

Browse

Highlights

Resources